OHLC and Pivots - e-mini/forex

Started a few months ago with paper trading the SP-500 and NASDAQ-100 using pivot points. I have been using the Yahoo! Finance or this site’s Daily Notes as my source for every day’s OHLC. How should I determine a day’s OHLC for the e-mini contracts and forex pairs? Also, can pivot points have the same relevancy in trading contracts that are traded virtually around the clock with no official open and close?

Open and close times produced by this method are midnight Greenwich time. This is an arbitrary time regardless of a true start or end of any trading day.

I then looked at volume trying to figure out when trading is easing off. An hourly volume chart is clearly showing that trading volume is deeping consistently every day at 21:00 Greenwich time which corresponds to 5:00 pm EST (DST). To pull OHLC for 21:00-21:00 I used the same method as above except that I used an hourly chart instead of daily. Then I copied the OHLC data for the recent 21:00-21:00 period and pasted it in a spread sheet formulated to extract the values I was after.

Pivot points calculated with values obtained with both of these methods above, were literally off the chart by the time I set down to trade by them, which is about 9:00 am EST.

The instruments I was experimenting with before were traded only during the standard trade day so there was no trading done between the time of the close in the quote and the open of the next day. The forex pairs on the other hand, were trading in full force for 13-15 hours between the time of the close time in the quotes I was using and the beginning of my day at about 9:00 am EST.

Then I took the assumption that I should probably use OHLC values covering a period that ends right before the beginning of my day to simulate the situation that exists with instruments traded within the standard day with which my pivot points proved to be accurate.

I wasn’t sure about the number of hours I should cover within the OHLC quote so I created a spread sheet that calculated three periods: 12 hours, 9 hours and 6 hours.

The pivot points came back to be within the chart and the 6 hours period resulted in the most accurate values. I could trade successfully with the 12 and 9 hours pivot points but the 6 hours points were most on the money and provided more opportunities to trade.

I then considered keep pulling points for 6 hour periods while moving the period ahead every hour as the day goes on. I ran out of time before I got to do that but will experiment with it next week and post results here.

Hope some of you may find this information useful; I could not find an answer to these questions anywhere and was not sure how to go about it until the one reply to my initial post had me thinking in this direction. Thanks!!